Real-time Portfolio Management and Automatic Extensions: MS Thesis

Introduction The PROFIT language [Kaiser 90, Kaiser 91] is motivated by applications driven by large quantities of rapidly changing data. An example of such an application is the portfolio management application that seeks to take advantage of the market conditions to optimize portfolios. Network management is another such application with large amounts of data that changes rapidly. Applications such as these require that large amounts of rapidly changing data be monitored. Such monitoring can be accomplished via polling or using the active values (notification) approach. In polling, the various data that are expected to change rapidly are examined periodically. Notification is an approach where the various agents are notified when a change takes place. Polling is CPU intensive whereas the active values approach results in large amounts of network traffic. PROFIT is designed to avoid the polling vs. notification controversy by making it possible to create applications that take an intermediate approach between polling and notification. This thesis has been motivated by the problem of real-time portfolio management. The primary work is the creation of a real-time portfolio management application — SPLENDORS [Patel 91]. It allows the monitoring of the changing market conditions using appropriate criteria according to the condition being monitored (for example, the prices of a volatile security can be monitored more frequently than that of a stable security) as well as the investment philosophy of the portfolio owner (for example, the same security might be monitored more often for a trader and less often for a long-term stable investor). SPLENDORS allows the end user to add program components from a pre-defined library of reusable generic components without programming to the running system without having to bring it down. This makes it possible to extend the system as appropriate by non-programmers, on the fly, to represent additional securities purchased or to represent portfolios created for new customers by non-programmers. This is done using interpretive constructs. When SPLENDORS is brought down (typically at the end of the trading day), it converts the additional program components to a form that can be compiled. This means that a fully compiled instance of the system can be created for the next trading day. Thus, SPLENDORS has application generator like features that allows non programmers to extend the SPLENDORS system without programming. However, unlike the usual application generator, the SPLENDORS application generation is extensible. It is possible for the PROFIT and C programmers …